Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1399 |
| Annualized Std Dev | 0.2450 |
| Annualized Sharpe (Rf=0%) | 0.5712 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3629.0000 |
| NAs | 1.0000 |
| Minimum | -0.1384 |
| Quartile 1 | -0.0066 |
| Median | 0.0012 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0086 |
| Maximum | 0.1055 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0002 |
| Stdev | 0.0154 |
| Skewness | -0.4402 |
| Kurtosis | 5.4146 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0119 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0111 |
| Downside Deviation (0%) | 0.0111 |
| Maximum Drawdown | 0.5037 |
| Historical VaR (95%) | -0.0245 |
| Historical ES (95%) | -0.0373 |
| Modified VaR (95%) | -0.0249 |
| Modified ES (95%) | -0.0467 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-27 | 2009-03-09 | 2011-04-26 | -0.5037 | 839 | 301 | 538 |
| 2015-07-20 | 2016-02-08 | 2017-09-28 | -0.4234 | 555 | 141 | 414 |
| 2018-10-01 | 2018-12-24 | 2020-02-18 | -0.3422 | 347 | 59 | 288 |
| 2020-02-20 | 2020-03-16 | 2020-04-20 | -0.2790 | 42 | 18 | 24 |
| 2011-07-08 | 2011-10-03 | 2012-07-02 | -0.2423 | 248 | 61 | 187 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.4 | 1.1 | -0.4 | -0.7 |
| 2007 | 0.8 | -0.2 | 0.8 | 0.3 | 0.2 | -0.7 | 0.9 | 0.6 | 1 | -1.1 | 0 | -0.8 | 1.9 |
| 2008 | 1.9 | -3 | 2.7 | 0.1 | 0.2 | 0 | 0.3 | -1 | -1.3 | 1.5 | -7.8 | 1 | -5.7 |
| 2009 | -0.5 | -3.1 | 0.2 | -0.7 | 2 | 1.3 | -0.3 | -1.6 | -2.1 | -1.5 | 1.4 | -1.1 | -6 |
| 2010 | 0.3 | 1.4 | 0.6 | -2.1 | -2.7 | -2 | 1.4 | 2.9 | -0.2 | -0.7 | 1.7 | -0.8 | -0.3 |
| 2011 | 1.6 | -0.5 | 0.8 | -0.8 | -1.5 | 1.7 | -2.9 | -1.3 | -2 | -3 | 0.5 | -0.3 | -7.4 |
| 2012 | 1.7 | 0.8 | 0.7 | 0.2 | -2.8 | 2.6 | -0.5 | 0.2 | 0.7 | 1.3 | -0.2 | 0.4 | 5 |
| 2013 | 1 | 0.6 | -0.8 | -0.6 | -0.8 | 0.8 | 0.7 | -0.8 | 1.2 | 0.2 | 0.2 | 0.1 | 1.9 |
| 2014 | -0.6 | -2.6 | 1.6 | 1.3 | -0.9 | 1.7 | 0.1 | 0.6 | -1.9 | 0.8 | -1.6 | -0.4 | -2.2 |
| 2015 | -1.6 | -1.1 | -0.4 | 2.5 | -0.3 | -0.2 | 1.2 | -2.7 | 0.5 | 0.6 | 0.3 | -0.9 | -2.2 |
| 2016 | 0 | 2.8 | 1.5 | -1.2 | 0.7 | 0.9 | -0.1 | 0 | 0.7 | 0.2 | -2.4 | -0.3 | 2.7 |
| 2017 | 0.4 | 1.2 | 0.7 | 1.2 | 2.2 | -0.6 | -1.5 | 0.4 | 1 | -2 | -0.7 | -1.8 | 0.4 |
| 2018 | 0.6 | -1.6 | 0.9 | 1.4 | 1.9 | 0.7 | 1.3 | 1 | -1.6 | 3.5 | 1 | 1.8 | 11.3 |
| 2019 | 0 | 1.5 | -1 | -1.4 | -1.4 | 0.3 | -0.9 | -1.4 | -1.7 | 1.5 | -0.3 | 0.4 | -4.3 |
| 2020 | -0.9 | -1 | -4.5 | -1.5 | 1.1 | -0.5 | -0.9 | -1.6 | 0.8 | -2.1 | 0.8 | -0.5 | -10.3 |
| 2021 | 4.3 | 4.1 | 3.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 11.9 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
